mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-02 11:37:42 +00:00
Miha Kralj
c034cbd5e5
- Introduced YZV class for calculating Yang-Zhang Volatility, a comprehensive volatility measure that incorporates overnight, open-to-close, and high-low components. - Implemented calculation methods, including batch processing for TBarSeries and spans. - Added documentation for YZV, detailing its mathematical foundation, performance profile, and trading applications. - Updated volume index documentation to reflect changes in file paths. - Refactored VWMA calculation method to use a more generic source parameter instead of price.
82 lines
3.1 KiB
C#
82 lines
3.1 KiB
C#
using System.Drawing;
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using System.Runtime.CompilerServices;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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/// <summary>
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/// Quantower adapter for Cointegration indicator.
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/// Measures the statistical equilibrium relationship between two price series
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/// using the Engle-Granger two-step method with ADF test.
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/// </summary>
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/// <remarks>
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/// This adapter compares two different price sources from the same symbol (e.g., Close vs Open,
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/// Close vs Volume, High vs Low). For cross-symbol cointegration analysis, use the core
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/// Cointegration class directly with data from multiple symbols.
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///
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/// The output is the ADF test statistic. More negative values indicate stronger cointegration.
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/// Critical values: -3.43 (1%), -2.86 (5%), -2.57 (10%)
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/// </remarks>
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[SkipLocalsInit]
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public sealed class CointegrationIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 0, minimum: 2, maximum: 10000)]
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public int Period { get; set; } = 20;
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[IndicatorExtensions.DataSourceInput]
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public SourceType Source { get; set; } = SourceType.Close;
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[InputParameter("Source 2 Type", sortIndex: 2)]
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public SourceType Source2 { get; set; } = SourceType.Open;
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[InputParameter("Show cold values", sortIndex: 21)]
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public bool ShowColdValues { get; set; } = true;
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private Cointegration _cointegration = null!;
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private readonly LineSeries _series;
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private string _sourceName = null!;
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private Func<IHistoryItem, double> _priceSelector = null!;
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private Func<IHistoryItem, double> _priceSelector2 = null!;
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public static int MinHistoryDepths => 2;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName => $"COINT({Period}):{_sourceName}/{Source2}";
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public CointegrationIndicator()
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{
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OnBackGround = true;
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SeparateWindow = true;
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Name = "COINT - Cointegration (Engle-Granger)";
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Description = "Measures statistical equilibrium between two price sources using ADF test. More negative = stronger cointegration.";
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_series = new LineSeries(name: "ADF", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
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AddLineSeries(_series);
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}
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protected override void OnInit()
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{
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_priceSelector = Source.GetPriceSelector();
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_priceSelector2 = Source2.GetPriceSelector();
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_sourceName = Source.ToString();
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_cointegration = new Cointegration(Period);
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base.OnInit();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnUpdate(UpdateArgs args)
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{
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bool isNew = args.IsNewBar();
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// Get both price sources from the same bar
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var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
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double valueA = _priceSelector(item);
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double valueB = _priceSelector2(item);
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var tvalA = new TValue(item.TimeLeft.Ticks, valueA);
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var tvalB = new TValue(item.TimeLeft.Ticks, valueB);
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double value = _cointegration.Update(tvalA, tvalB, isNew).Value;
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_series.SetValue(value, _cointegration.IsHot, ShowColdValues);
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}
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}
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